What is the chance of this happening?

The UK Government has estimated the chance of a Carrington level CME at 1 per cent per year. Some scientific studies have estimated at 12 per cent per decade (around 2 per cent per year). A documentary on the subject estimates that such an event occurs around once in 150 years. Somewhere I had read these things can occur around once in 500 years.

What is the best way to protect against it?

“The best way to protect against solar storms is to forecast them in advance and shut down the grid before it’s struck.”

But currently we won’t get sufficient notice

“While astronomers can see solar events, such as a coronal mass ejection, they don’t have a true picture of its magnitude until it’s about 90 minutes from Earth.”

What can be done to harden the power grid in advance?

“Power companies have made a few moves to protect against electromagnetic interference. Some grid operators and transmission infrastructure owners are putting in place so-called Faraday enclosures, shields of conductive material used to protect electronic equipment and facilities. Utilities have also started stockpiling spare parts to replace any that are damaged by an EMP event, storms or other disasters.” [Source]

“utility companies have implemented a number of protections to secure the grid, such as installing shielding on some substations that house the digital infrastructure that supports equipment controls as well as some operations centers.” [Source]

What is the cost of full protection?

In relation to an EMP (which is similar in many ways to a CME impact):

Richard Mroz, president of the New Jersey Board of Public Utilities, warned the cost of preventing widespread failures from an EMP would “be astronomical.” Placing transformers or a substations in shielded cages would cost hundreds of millions of dollars, he said, while protecting critical assets on a distribution system like New Jersey’s could reach into the billions of dollars.

“Managing that kind of threat right now-no one really has the resources to do that,” Mroz said. [Source]

On the other hand:

“Boland said that in her state and others, utility companies makes it sound as though installing grid-protection devices would be exorbitantly costly. She argues that the technology isn’t expensive, and that placing blocking systems on major transformers in Maine would cost each household only about $1.50 a year or less over four to five years.” [Source]